Package: HDTSA
Type: Package
Title: High Dimensional Time Series Analysis Tools
Version: 1.0.6-1
Authors@R: c(person("Jinyuan", "Chang", role = "aut",
    email = "changjinyuan@swufe.edu.cn"),
    person("Jing", "He", role = c("aut"), email = "he_jing@swufe.edu.cn"),
    person("Chen", "Lin", role = c("aut", "cre"), email = "linchen@smail.swufe.edu.cn"),
    person("Qiwei ", "Yao", role = "aut", email = "q.yao@lse.ac.uk"))
Date: 2026-06-23
Author: Jinyuan Chang [aut],
  Jing He [aut],
  Chen Lin [aut, cre],
  Qiwei Yao [aut]
Maintainer: Chen Lin <linchen@smail.swufe.edu.cn>
Description: An implementation for high-dimensional time series analysis methods, including factor model for vector time series 
      proposed by Lam and Yao (2012) <doi:10.1214/12-AOS970> and Chang, Guo and Yao (2015)
      <doi:10.1016/j.jeconom.2015.03.024>, martingale difference test proposed by 
      Chang, Jiang and Shao (2023) <doi:10.1016/j.jeconom.2022.09.001>, principal 
      component analysis for vector time series proposed by Chang, Guo and Yao (2018) <doi:10.1214/17-AOS1613>,
      cointegration analysis proposed by Zhang, Robinson and Yao (2019)
      <doi:10.1080/01621459.2018.1458620>, unit root test proposed by Chang, Cheng and Yao (2022)
      <doi:10.1093/biomet/asab034>, white noise tests proposed by Chang, Yao and Zhou (2017)
      <doi:10.1093/biomet/asw066> and Chang et al. (2026+), CP-decomposition for matrix time 
      series proposed by Chang et al. (2023) <doi:10.1093/jrsssb/qkac011> and
      Chang et al. (2026+) <doi:10.48550/arXiv.2410.05634>, CP-decomposition for tensor time
      series proposed by Chang et al. (2026+) <doi:10.48550/arXiv.2606.08560>, and statistical inference for
      spectral density matrix proposed by Chang et al. (2025) 
      <doi:10.1080/01621459.2025.2468013>.
License: GPL-3
Depends: R (>= 3.5.0)
Imports: stats, Rcpp, clime, sandwich, methods, MASS, geigen,
        jointDiag, vars, forecast, rTensor
LinkingTo: RcppArmadillo, RcppEigen, Rcpp
Suggests: knitr
NeedsCompilation: yes
RoxygenNote: 7.3.2
Encoding: UTF-8
URL: https://github.com/Linc2021/HDTSA
BugReports: https://github.com/Linc2021/HDTSA/issues
Repository: CRAN
Packaged: 2026-06-23 14:34:27 UTC; linchen
Date/Publication: 2026-06-23 15:10:02 UTC
Built: R 4.6.1; x86_64-w64-mingw32; 2026-07-04 02:58:42 UTC; windows
Archs: x64
